Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and cVaR-based risk control (Q2576693): Difference between revisions
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Revision as of 07:38, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and cVaR-based risk control |
scientific article |
Statements
Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and cVaR-based risk control (English)
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14 December 2005
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Consumption and investment problems
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Stochastic programming
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MGARCH model
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CVaR risk measure
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Transaction costs
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